If you don't know how to handle a Terminal, typing commands like rm -rf can at worst delete all your files and make the system unusable. Be careful what you enter. What did the Terminal output when you entered the above rm -rf ~/.Trash/*?
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slhck♦May 20 '11 at 15:12

4 Answers
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There's actually a number of causes of this so the solution varies. Often simply logging out and back in does the trick. If that doesn't work try repairing permissions through the menu. If that doesn't have an effect try Cmd +Option + Shift + Backspace.
As a last resort you can also type this into the terminal

The operation can’t be completed because you don’t have permission to access some of the items.

That's indicative of you not having administrator access to the machine. Does the system ask for your password when you initiate an Empty Trash action from the trash can icon in the Dock? Do you know if you're an administrator on the machine?

How do you execute a command in Terminal? Do you hit Enter?

Yes, you hit Enter to execute what ever you've typed at the prompt. But this is dangerous stuff to be doing if you've never used the command line before.

If you really want to go down this route, you need to prefix your rm call with sudo. Like so:

sudo rm -rf ~/.Trash/*

Be very, very careful with those commands. You can quickly render your machine inoperable with a poorly thought out, sudo'ed, rm call.

Not everybody has Windows installed. Resizing a partition; shutting down Mac OS X; buying and installing Windows; installing drivers; (likely buying,) downloading and installing HFS+ drivers; and then removing those files is possibly not the easiest way. If everything's already set up, maybe, but the user didn't give any indication it was.
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Daniel Beck♦May 20 '11 at 20:32